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What a lot of builders fail to realize when building a "bump out" is that a gas fireplace is not meant to seal out air, that is the job of the "bump out".
there will be no performance difference whether the fireplace is in the hole or not. if the "bump out" leaks air the fireplace will not stop it!

Air tight bump outs

I agree that not enough detail is given to the bump outs. Builders figure no one goes in there so waste of time to make it draft free.

But with that said, and if you do all you can to make it tight its still an unconditioned box outside the envelope. It will most likley at best be a few degrees above the exterior ambient temp, with the only warming effect being solar gain if on the south side or heatloss from the interior.

If you take an empty cooler, stick it outside it will soon equal exterior temps with changes lagging what ever the exterior temps are due to its insulation because it has no way to add heat.

Best plan is to avoid the bump outs all together, especially cantilevered ones IMHO.

Thanks for all of the responses. The holidays had me tied up.
talktowags & hearthman - I've added the WSK200 and the standing pilot seems to be helping quite substantially however it has been really warm here the last month or so(strange for winter up here).
gordy - the chase would be northwest. I would prefer a corner unit however I bought the house as a spec.

One question - friend has a bump out setup and what the installer did was put in two large 4" holes from the basement for the gas and electrical KO's. He actually can feel the warm basement air inside the fireplace without a standing pilot! I would think the cold would be countering this and leaking cold air into the basement instead?

convective tempering

Sounds high tech don't it. I was going to suggest that, but it sounded like you spray foamed the cantilevered floor joist area. It would help upstairs, but may draw cold into the basement.

I had a house I built with a cantilevered second floor bath. Such was the lay out, and the nature of the design. Any way I left my joist blocking, and insulation down 2 " from the bottom of the second floor subfloor so it could get some warmth out in the cantilever. Worked good until a nasty wind from the north would dig in. It was on the north side of the house. This is pretty much my reasoning against cantilevered layouts, and sub garages under living space. Both designs are energy hogs no matter how much insulating, and sealing you do.

The bottom line is insulation SLOWS heat loss it does not stop it. Depending on the duration of cold snaps sooner, or latter it will find equalibrium into the living space.